It is a common misconception that the forex market is more volatile than the stock market. In actual fact, the movements in the currency markets are usually less severe than in the stock market.
For example, for the past 6 months, the high and low of the Dow Jones is about 12753 and 10404 respectively. The high and low for EUR/USD, the most traded and probably the most volatile of the currencies, is 1.4578 and 1.2857 respectively. This translates to a percentage change of 22.6% for the Dow and 13.4% for the EUR/USD.
In other words, you stand to lose or gain more, if you invest in stocks than if you invest in EUR/USD for that time period.
The reason why it is usually said that the forex market is volatile is the common use of leverage when trading in forex. When you use a leverage of 1:10, your loss or gain multiplies by 10.
Therefore, when you use a leverage of 1:10 when trading EUR/USD in the time period mentioned, your potential loss or gain will be 134%. Leverage extended to clients in the markets are usually about 1:50, while leverages up to 1:500 is not unheard of!
The key is that while leverage is extended to you, you can choose not to use it or choose to use it minimally. The forex market is deemed very risky due to the overuse of leverage and not because it is more volatile.